Authors: | Krämer, Walter |
Title: | Long memory with Markov-Switching GARCH |
Language (ISO): | en |
Abstract: | The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives sufficient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often sum to almost one. |
Subject Headings: | GARCH(1,1)-model Long memory Markov-switching Time-varying transition probability |
URI: | http://hdl.handle.net/2003/23070 http://dx.doi.org/10.17877/DE290R-15398 |
Issue Date: | 2006-11-10T07:43:50Z |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr35-06.pdf | DNB | 109.28 kB | Adobe PDF | View/Open |
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